MIDAS in EViews
Next Dates: 2016-09-19 at 12:00 pm - 1:45 pm PDT. This is a free webinar.
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| What is MIDAS? |
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| MIDAS Method. |
- Basic Introduction: Why MIDAS?
- MIDAS: Some Theory.
- MIDAS: Different Weighting Functions.
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| Estimating your first MIDAS equation in EViews. |
- Estimation Details: Lags/Timing.
- Estimation Details: Weighting Functions.
- Forecasting from a MIDAS equation.
- MIDAS Estimation with different weights.
- MIDAS: Forecast Averaging.
- Post-Estimation: Lag Selection.
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| MIDAS vs AR(1) Model. |
- Forecast Evaluation and Analysis.
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| Example 1: MIDAS vs “Bridge Equations.” |
- MIDAS with multiple high-frequency regressors.
- Estimating “bridge equations”: VAR forecasts.
- Forecast Evaluation: MIDAS vs. “bridge equations.”
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| Example 2: Forecasting GDP using daily financial data. |
- MIDAS using stock market and yield spreads.
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| Example 3: MIDAS vs. ADL models. |
- MIDAS: forecasting inflation using term spreads.
- Forecast Evaluation: MIDAS vs. ADL models.
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| Example 4: MIDAS vs. GARCH models. |
- MIDAS: Forecasting stock return volatility using daily returns
- GARCH equation
- Forecast Evaluation: MIDAS vs. GARCH
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*Syllabus subject to change at any time.